Pricing of exotic options under the Kou model by using the Laplace transform

Pricing of exotic options under the Kou model by using the Laplace transform

In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. We chose the one of the modifications of Black-Scholes mod...

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Bibliographic Details
Main Authors: Dzharayan, Gayk, Voronova, Elena
Format: Others
Language:English
Published: Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) 2011
Subjects:
Financial Mathematics
Double exponential jump-diusion model
Kou model
Laplace transform
Laplace transform inversion
two-dimensional Euler algorithm
two-asset correlation options.
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16023

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16023

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